Maximum likelihood estimation for dynamic factor models with missing data (Q550846): Difference between revisions

@@ Property / author @@
-Siem Jan Koopman
@@ Property / author: Siem Jan Koopman / rank @@
-Normal rank
@@ Property / author @@
-Michel van der Wel
@@ Property / author: Michel van der Wel / rank @@
-Normal rank
@@ Property / author @@
+Siem Jan Koopman
@@ Property / author: Siem Jan Koopman / rank @@
+Normal rank
@@ Property / author @@
+Michel van der Wel
@@ Property / author: Michel van der Wel / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B84
@@ Property / Mathematics Subject Classification ID: 91B84 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+N01
@@ Property / Mathematics Subject Classification ID: 62N01 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M20
@@ Property / Mathematics Subject Classification ID: 62M20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5920223
@@ Property / zbMATH DE Number: 5920223 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high-dimensional vector series
@@ Property / zbMATH Keywords: high-dimensional vector series / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Kalman filtering and smoothing
@@ Property / zbMATH Keywords: Kalman filtering and smoothing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+unbalanced panels of time series
@@ Property / zbMATH Keywords: unbalanced panels of time series / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+astsa
@@ Property / describes a project that uses: astsa / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jedc.2011.03.009
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@@ Property / OpenAlex ID @@
+W2093281401
@@ Property / OpenAlex ID: W2093281401 / rank @@
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@@ Property / cites work @@
+Q4010408
@@ Property / cites work: Q4010408 / rank @@
+Normal rank
@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
+Normal rank
@@ Property / cites work @@
+Q4139463
@@ Property / cites work: Q4139463 / rank @@
+Normal rank
@@ Property / cites work @@
+A two-step estimator for large approximate dynamic factor models based on Kalman filtering
+Normal rank
@@ Property / cites work @@
+Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis
+Normal rank
@@ Property / cites work @@
+Q2760417
@@ Property / cites work: Q2760417 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4171478
@@ Property / cites work: Q4171478 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+A parametric estimation method for dynamic factor models of large dimensions
+Normal rank
@@ Property / cites work @@
+Filtering and smoothing of state vector for diffuse state-space models
+Normal rank
@@ Property / cites work @@
+Numerical Optimization
@@ Property / cites work: Numerical Optimization / rank @@
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@@ Property / cites work @@
+Extensions of estimation methods using the EM algorithm
+Normal rank
@@ Property / cites work @@
+Evaluation of likelihood functions for Gaussian signals
+Normal rank
@@ Property / cites work @@
+AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
+Normal rank
@@ Property / cites work @@
+Forecasting Using Principal Components From a Large Number of Predictors
+Normal rank
@@ Property / cites work @@
+Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:550846